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Article
A Generalized Univariate Change-of-Variable Transformation Technique
INFORMS Journal of Computing
  • Andrew G. Glen
  • Lawrence Leemis, William & Mary
  • John H. Drew
Document Type
Article
Department/Program
Computational & Applied Mathematics & Statistics
Pub Date
8-1-1997
Publisher
INFORMS
Abstract

We present a generalized version of the univariate change-of-variable technique for transforming continuous random variables. Extending a theorem from Casella and Berger [1990. Statistical Inference, Wadsworth and Brooks/Cole, Inc., Pacific Grove, CA] for many-to-1 transformations, we consider more general univariate transformations. Specifically, the transformation can range from 1-to-1 to many-to-1 on various subsets of the support of the random variable of interest. We also present an implementation of the theorem in a computer algebra system that automates the technique. Some examples demonstrate the theorem's application.

DOI
https://doi.org/10.1287/ijoc.9.3.288
Publisher Statement

This version is the accepted (post-print) version of the manuscript.

Disciplines
Citation Information
Andrew G. Glen, Lawrence Leemis and John H. Drew. "A Generalized Univariate Change-of-Variable Transformation Technique" INFORMS Journal of Computing Vol. 9 Iss. 3 (1997) p. 231 - 318
Available at: http://works.bepress.com/lawrence-leemis/1/